Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0120 |
| Annualized Std Dev | 0.2576 |
| Annualized Sharpe (Rf=0%) | 0.0465 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5587.0000 |
| NAs | 1.0000 |
| Minimum | -0.1558 |
| Quartile 1 | -0.0079 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0081 |
| Maximum | 0.1550 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0162 |
| Skewness | 0.2290 |
| Kurtosis | 7.6631 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0114 |
| Gain Deviation | 0.0119 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0113 |
| Downside Deviation (0%) | 0.0113 |
| Maximum Drawdown | 0.6745 |
| Historical VaR (95%) | -0.0253 |
| Historical ES (95%) | -0.0375 |
| Modified VaR (95%) | -0.0229 |
| Modified ES (95%) | -0.0272 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 1999-09-15 | 2009-03-09 | NA | -0.6745 | 5413 | 2384 | NA |
| 1999-05-07 | 1999-05-27 | 1999-06-16 | -0.1338 | 28 | 15 | 13 |
| 1999-06-22 | 1999-08-06 | 1999-09-10 | -0.1280 | 57 | 33 | 24 |
| 1999-02-02 | 1999-03-04 | 1999-03-09 | -0.1111 | 25 | 22 | 3 |
| 1999-03-12 | 1999-03-24 | 1999-04-08 | -0.0690 | 19 | 9 | 10 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.8 | -1.7 | 2.2 | -1.3 | 1.5 | -0.6 | -0.7 | 1.9 | 2 | 0 | -2.6 | 2 | 3.3 |
| 2000 | 0.7 | -0.7 | 3.1 | 1.6 | 2.6 | 0 | 1.8 | -1.6 | -0.9 | -0.9 | 1.9 | 4.4 | 12.5 |
| 2001 | -1.2 | -1 | -0.8 | 2.8 | 0.5 | 2 | 0.2 | -1.1 | -2.6 | 0.2 | 1.2 | -1.5 | -1.4 |
| 2002 | -1.1 | 0 | -1.8 | 1.5 | 0.3 | -1.5 | -1.2 | -1.6 | 1.9 | 1.4 | 3.2 | 0 | 1 |
| 2003 | 0.7 | -0.9 | 0.7 | 0 | 1 | 3.6 | -1.2 | 0.2 | 2.3 | -1.8 | 3 | 1.4 | 9.2 |
| 2004 | 1.1 | 0.9 | -2 | -1.3 | -0.9 | -1.5 | -0.5 | 0.2 | 1.5 | -1.2 | 2 | 1.4 | -0.3 |
| 2005 | 0.2 | 0.6 | 0.8 | 2.4 | -0.3 | 1.7 | 0.8 | 0.6 | 1.1 | 4.6 | 1.1 | -0.4 | 13.8 |
| 2006 | -0.1 | 0.5 | -0.8 | 2.4 | -0.2 | 0.5 | -0.4 | 0.6 | -0.2 | -0.9 | -0.5 | 0.6 | 1.5 |
| 2007 | 1 | -1.4 | -0.5 | -0.8 | 1.6 | 0.2 | -2.3 | 2.3 | 1.3 | -2.3 | 0.8 | 1.1 | 1 |
| 2008 | 0.4 | -1.1 | 2.5 | 0.8 | 0.8 | 0 | -1.3 | -0.8 | 0.7 | -2.1 | -5.3 | 0.6 | -4.9 |
| 2009 | -3.3 | -0.3 | -0.5 | 0.5 | 1.1 | 1.8 | 0.2 | -1.2 | -3.3 | -1 | 3.8 | 0.6 | -1.9 |
| 2010 | 1.9 | 0.2 | 1.4 | -0.2 | -1.1 | -0.2 | -0.2 | 0.4 | 0.6 | -0.2 | 3 | 0.8 | 6.4 |
| 2011 | 1.8 | -0.2 | -0.3 | 0.2 | -0.8 | 0.2 | 1.1 | 0 | -1.5 | 0 | -1 | 0.5 | -0.1 |
| 2012 | 1.9 | 0.5 | 0.7 | 0.4 | -2.2 | 1 | -0.1 | -0.5 | 0.6 | 0 | 1 | 0.9 | 4.1 |
| 2013 | 0.9 | 0.8 | -2.7 | 0.5 | 0.5 | 0.3 | 2.5 | -1.1 | 0.4 | -0.4 | 1 | -0.2 | 2.4 |
| 2014 | 0.5 | 0.6 | -0.6 | 1.7 | 0 | 2.2 | -0.5 | -0.1 | -0.7 | 4 | 0.2 | -2.9 | 4.2 |
| 2015 | -1.3 | 0 | -0.5 | 0.6 | 0.2 | 0.4 | -0.1 | -3.7 | 0.4 | -0.5 | 0.9 | -0.5 | -4.2 |
| 2016 | 0.9 | 2.3 | -2 | 0 | -0.5 | 0.5 | 0.4 | 0.2 | -0.5 | 0.2 | 0 | 0.8 | 2.2 |
| 2017 | 1.3 | 0.6 | -0.9 | -0.2 | 0 | 0.2 | 0.6 | -0.3 | -0.2 | 0.4 | -1.2 | 0.5 | 0.7 |
| 2018 | 0.8 | -2.7 | 0.8 | -0.8 | 0.1 | 0.1 | 1.5 | 0.1 | 0 | 0.1 | -0.5 | 1.1 | 0.5 |
| 2019 | -1.2 | -0.1 | 1.9 | -0.1 | -1.6 | 2 | -0.4 | 0.4 | -0.3 | 1.1 | -1 | -0.5 | 0.1 |
| 2020 | -0.8 | -3.2 | -4.6 | -2.8 | 1.4 | -3.1 | -2.2 | 0 | 1 | -0.1 | 1.4 | -1.9 | -14.2 |
| 2021 | 0.3 | 1.4 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.1 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
